Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 4 3 3
Score -2.59 -3.83 -5.45
Market Cap (Millions USD) 2109.11 2037.79 2165.97
Predicted Beta 0.27 0.26 0.28
Idiosyncratic Volatility 1.7 1.46 2.28

Annualized return and volatility

FEZ
Annualized Return 0.0612
Annualized Std Dev 0.2579
Annualized Sharpe (Rf=0%) 0.2371

Row

Daily Return Statistics

FEZ
Observations 4399.0000
NAs 715.0000
Minimum -0.1221
Quartile 1 -0.0064
Median 0.0005
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0079
Maximum 0.1753
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0162
Skewness 0.1026
Kurtosis 10.0127

Downside Risk

FEZ
Semi Deviation 0.0116
Gain Deviation 0.0119
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.6421
Historical VaR (95%) -0.0246
Historical ES (95%) -0.0394
Modified VaR (95%) -0.0226
Modified ES (95%) -0.0250
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 NA -0.6421 3084 320 NA
2003-01-08 2003-03-12 2003-05-05 -0.2313 83 46 37
2004-02-18 2004-05-10 2004-11-03 -0.1411 183 59 124
2006-05-11 2006-06-13 2006-08-18 -0.1364 71 23 48
2007-07-13 2007-08-15 2007-10-01 -0.1195 57 24 33

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec FEZ
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA 1.4 0.0 0.0 1.4
2003 0.0 0.0 2.1 0.1 0.0 -0.3 -0.1 0.0 3.0 0.0 1.6 0.0 6.5
2004 0.0 0.6 1.9 0.0 -0.9 -1.4 0.0 -0.2 2.3 0.2 2.3 0.0 4.8
2005 0.2 1.4 -0.4 0.0 0.0 -0.8 0.7 0.9 0.0 0.1 1.7 0.0 3.9
2006 0.1 1.0 0.0 0.1 1.1 0.0 -0.6 0.3 0.0 -0.5 -0.9 0.0 0.5
2007 0.6 -1.5 0.0 -0.1 0.7 0.0 0.5 0.0 0.9 -2.8 0.0 0.0 -1.5
2008 1.6 0.0 3.5 0.9 0.0 -0.6 -1.3 0.0 0.0 0.0 -9.0 0.0 -5.3
2009 0.0 0.0 2.0 0.8 2.7 1.7 0.0 -3.5 -3.0 0.0 2.7 0.0 3.1
2010 2.6 1.7 2.4 0.0 -1.8 2.0 0.0 4.5 0.9 -1.1 4.2 0.0 16.4
2011 2.6 -1.9 1.5 0.0 -3.2 1.4 -2.8 -1.9 0.0 -5.9 -0.9 0.0 -10.9
2012 2.2 1.6 0.0 0.5 -2.3 0.0 0.0 0.0 1.1 1.2 0.0 0.0 4.3
2013 1.3 -0.6 -0.6 -0.7 0.0 1.0 1.4 0.0 1.2 -0.7 0.0 0.0 2.2
2014 0.0 0.0 1.0 0.2 0.0 0.8 -1.0 0.0 -1.1 0.0 -0.2 0.0 -0.2
2015 0.0 0.0 0.9 0.9 -0.1 0.6 0.0 -2.6 -0.3 0.0 0.3 0.0 -0.3
2016 -0.4 3.1 -1.1 0.0 -0.1 -0.1 -1.3 0.5 0.0 -0.6 -0.2 0.0 -0.2
2017 0.3 1.7 0.0 0.6 0.5 0.0 0.6 0.3 0.0 0.3 -0.8 0.0 3.5
2018 0.0 -0.9 0.0 -0.6 1.0 0.0 -0.7 0.0 0.1 1.4 0.0 0.0 0.2
2019 0.2 0.7 1.2 -0.8 0.0 0.1 -0.4 0.0 -1.1 0.6 0.0 -0.2 0.4

Row

Rolling Performance Chart

Snail Trail Chart